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We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are … SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function … consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also …
Persistent link: https://www.econbiz.de/10015073524
Persistent link: https://www.econbiz.de/10010419909
. The analysis finds that green bonds act more as a hedge than a safe haven against economic policy uncertainty (EPU). In … bonds, clean energy stocks, and global rare earth elements. A dynamic conditional correlation-multivariate generalized … the case of diversification, green bonds work as diversifiers with clean energy stocks and rare earth elements during …
Persistent link: https://www.econbiz.de/10012607545
We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty …
Persistent link: https://www.econbiz.de/10012504028
cryptocurrencies can be a useful tool for investors to diversify and hedge when required in the case of the US markets …
Persistent link: https://www.econbiz.de/10014239604
cryptocurrencies can be a useful tool for investors to diversify and hedge when required in the case of the US markets. …
Persistent link: https://www.econbiz.de/10013368898
This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. The empirical findings...
Persistent link: https://www.econbiz.de/10010301750
This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. The empirical findings...
Persistent link: https://www.econbiz.de/10010503711
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10009564251
this level by a wide margin. CDS are predominantly used to increase a fund's exposure to credit risks rather than to hedge …
Persistent link: https://www.econbiz.de/10013066896